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On Consistent Estimates of the Spectral Density of a Stationary Time Series

โœ Scribed by Emanuel Parzen

Book ID
123670324
Publisher
National Academy of Sciences
Year
1956
Tongue
English
Weight
185 KB
Volume
42
Category
Article
ISSN
0027-8424

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๐Ÿ“œ SIMILAR VOLUMES

Using M-type smoothing splines to estima
Using M-type smoothing splines to estimate the spectral density of a stationary time series
โœ Eva Ferreira ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 507 KB

An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal M-t